Time-varying fractionally integrated processes with finite or infinite variance and nonstationary long memory

DOI10.1007/S10440-007-9090-5MaRDI QIDQ996717zbMATH OpenOpenAlexFDO

Authors Kristina Bružaitė, Donatas Surgailis, Marijus Vaičiulis

Publication date 19 July 2007

Published in Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10440-007-9090-5

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Self-similar stochastic processes (60G18)

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Cites work

• scientific article; zbMATH DE number 3731074 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 3349105 (Why is no real title available?)
• Almost periodically correlated processes with long memory
• Fractional ARIMA with stable innovations
• Invariance principle for a class of non stationary processes with long memory
• Limit theorems for sums of linearly generated random variables
• The Invariance Principle for Stationary Processes
• Time series: theory and methods.
• Time-Varying Fractionally Integrated Processes with Nonstationary Long Memory
• Weak convergence of sums of moving averages in the \(\alpha\)-stable domain of attraction
• Weighted sums of i.i.d. random variables attracted to integrals of stable processes

Cited in

(9)

• Time-Varying Fractionally Integrated Processes with Nonstationary Long Memory
• Asymptotics of partial sums of linear processes with changing memory parameter
• Fractional Cox-Ingersoll-Ross process with non-zero ``mean
• Aggregation of random-coefficient AR(1) process with infinite variance and common innovations
• Fractional differencing and long memory processes
• Randomly fractionally integrated processes
• Modelling long-memory time series with finite or infinite variance: a general approach
• Fractionally Integrated Moving Average Stable Processes With Long-Range Dependence
• Nonhomogeneous fractional integration and multifractional processes

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